GUARANTEE VALUATION IN NOTIONAL DEFINED CONTRIBUTION PENSION SYSTEMS
From MaRDI portal
Publication:4563781
DOI10.1017/asb.2016.21zbMath1390.91155OpenAlexW3121946804MaRDI QIDQ4563781
Pierre Devolder, Jennifer Alonso-García
Publication date: 4 June 2018
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/asb.2016.21
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (2)
A comparative study of pricing approaches for longevity instruments ⋮ Optimal mix between pay-as-you-go and funding for DC pension schemes in an overlapping generations model
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Interest rate models -- theory and practice. With smile, inflation and credit
- A closed-form solution to the problem of super-replication under transaction costs
- An example of indifference prices under exponential preferences
- Pricing Via Utility Maximization and Entropy
- Coherent Measures of Risk
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1
- VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
- A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
- OPTIMAL MIX BETWEEN PAY AS YOU GO AND FUNDING FOR PENSION LIABILITIES IN A STOCHASTIC FRAMEWORK
- PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE
- Risk Aversion in the Small and in the Large
- An equilibrium characterization of the term structure
- Arbitrage Theory in Continuous Time
- The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
- Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
- A solution approach to valuation with unhedgeable risks
This page was built for publication: GUARANTEE VALUATION IN NOTIONAL DEFINED CONTRIBUTION PENSION SYSTEMS
